Fitch Upgrades 2 Classes of BSCMS 1999-WF2
KEY RATING DRIVERS
The upgrades reflect the high credit enhancement and continued expected paydown, defeasance and low leverage of the remaining loans. Fitch modeled losses of 4.1% of the remaining pool; expected losses on the original pool balance total 1.9%, including \$18.7 million (1.7% of the original pool balance) in realized losses to date. Of the 30 loans remaining, Fitch has not designated any Fitch Loans of Concern, and no loans are in special servicing. All of the remaining loans are fully amortizing with maturity dates in year 2018 (50.1%) and 2019 (36.4%).
As of the March 2015 distribution date, the pool's aggregate principal balance has been reduced by 97.2% to \$30.6 million from \$1.08 billion at issuance. Per the servicer reporting, seven loans (17.5% of the pool) are defeased. Interest shortfalls are currently affecting classes K through M.
Five of the top 10 loans (48.5%) are secured by single-tenant movie theaters. The largest loan (18.3%) is secured by a theater located in Denver, while the other four (30.3%) are secured by theaters in the St. Louis market. All of the loans have debt service coverage ratios at roughly 1.50x or better as of year-end 2014 and Fitch stressed loan-to-values (LTVs) of 30% or less. The leases are co-terminus with their respective maturity dates (July 2018 for the Denver theater and January 2019 for the St. Louis theaters).
RATING SENSITIVITIES
Rating Outlooks on classes I and J remain Stable due to continued stable performance of the pool. Further upgrades were not warranted at this time due to the pool's concentration and single-tenant movie theater exposure in the St. Louis market. An upgrade to class I may be warranted with additional paydown and continued stable performance. Downgrades are possible in the unlikely event expected losses increase significantly.
Fitch upgrades the following classes and revises Rating Outlooks as indicated:
--\$6 million class H to 'AAAsf' from 'AAsf', Outlook to Stable from Positive;
--\$8.1 million class I to 'Asf' from 'BBBsf', Outlook Stable.
Fitch affirms the following classes as indicated:
--\$9.5 million class J at 'BBsf', Outlook Stable;
--\$7 million class K at 'Dsf', RE 95%;
--\$0 class L at 'Dsf', RE 0%.
The class A-1, A-2, B, C, D, E, F and G certificates have paid in full. Fitch does not rate the class M certificates. Fitch previously withdrew the rating on the interest-only class X certificates.
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